Article ID: | iaor19961257 |
Country: | Belgium |
Volume: | 36 |
Start Page Number: | 65 |
End Page Number: | 75 |
Publication Date: | Jan 1994 |
Journal: | Cahiers du Centre d'tudes de Recherche Oprationnelle |
Authors: | Devolder Pierre |
Keywords: | stochastic processes |
The purpose of this paper is to study the problem of indexation of annunities in a financial stochastic environment. The paper finds in particular an indexation rule for which the technical reserves are bounded.